Method and interface for presenting last traded quantity information

ABSTRACT

Trading software may receive trading information from an exchange. The trading software may use the trading information to compute an estimate of last traded total sweep quantity. The trading software may also display the last traded total sweep quantity on a trading screen.

CROSS REFERENCE TO RELATED APPLICATIONS

This application is a divisional of U.S. application Ser. No.12/046,137, filed on Mar. 11, 2008, which is a continuation of U.S.application Ser. No. 10/254,560 filed Sep. 25, 2002 now U.S. Pat. No.7,366,691, the entire contents of which are incorporated herein byreference.

FIELD OF THE INVENTION

The present invention relates generally to electronic trading. Morespecifically, it relates to a method and interface for processing anddisplaying trading information.

BACKGROUND OF THE INVENTION

Many exchanges throughout the world now support electronic trading.Electronic trading has made it possible for an increasing number ofpeople to actively participate in a market at any given time. Theincrease in the number of potential market participants hasadvantageously led to, among other things, a more competitive market andgreater liquidity.

A trader can connect to an exchange, for example, using a client device,and the exchange can serve as a host. Once connected, software runningon the client device allows the trader to log onto one or more exchangesand participate in one or more markets. Some clients run software thatcreates specialized interactive trading screens. In general, the tradingscreens enable traders to enter orders into the market, obtain marketquotes, and monitor positions. The range and quality of featuresavailable varies according to the specific trading software.

One such feature often displayed to traders is the last traded quantity(“LTQ”), which is typically associated with a last traded price (“LTP”).The LTQ generally reflects the quantity of the last match performed bythe exchange's matching engine, while the LTP generally reflects theprice level of the match. When a trader enters an order, the tradergenerally specifies a price and a quantity for the order. The order canbe, for example, a buy or a sell order. When filling the order, thematching engine matches the order against all or part of one or moreother orders. For example, a buy order at a specified limit price may bematched with a corresponding sell. Of course, an order may be matchedagainst several orders, either at one or multiple price points, and anorder may be matched against portions of one or more orders.

One situation where an order may be matched at multiple prices pointsoccurs when a trader sweeps the market. A trader can sweep the market byplacing an order opposite from the inside market. The inside marketgenerally refers to the highest current bid price and lowest current askprice. Thus, a buy order placed above the inside market can sweep themarket. Similarly, a sell order placed below the inside market can sweepthe market.

FIG. 1A is a trading screen showing an example of a market for atradeable object. The trading screen includes a price column 100, whichdisplays various price levels for the tradeable object. A bid column 102displays a quantity of bids, which is an offer to buy, at correspondingprice levels. An ask column 104 displays a quantity of asks, which is anoffer to sell, at corresponding price levels. A LTQ column 106 displaysthe last traded quantity matched by the matching engine, and, as shownin FIG. 1A, it is depicted in conjunction with the corresponding LTP. Asdepicted in FIG. 1A, the inside market is 8 bid @ 95 and 4 ask @ 96.

To illustrate an order matching at several price points and the lasttraded quantity, consider an order to buy 22 @ 98. A buy 22 @ 98 is anorder to buy a quantity of 22 at a price of 98. The matching engine thenattempts to fill the order based on the current state of the market. Asshown in FIG. 1A, the market currently offers 4 at 96, 17 at 97, and 2at 98. The matching engine begins by filling the order at the mostfavorable ask price.

So, the buy 22 @ 98 is filled under the matching engine by buying 4 @96, buying 17 @ 97, and buying 1 @ 98. In this example, the matchingengine took the one new order and matched it at several different pricepoints. FIG. 1B is a trading screen illustrating a display of the marketstate after filling the order at multiple price points. As shown in FIG.1B, after filling the buy 22 @ 98 order, there are no more asks at the96 or 97 prices levels. These matched with the buy order. Similarly, theask quantity at the 98 level is decreased to one, because one ask atthis level matched against the buy 22 @ 98 order.

The LTQ column 106 includes an entry at the 98 price level. In fillingthe buy 22 @ 98 order, the matching engine first matched a quantity offour offered at the 96 price level. Next, the matching engine matchedseventeen at the 97 price level. Finally, the matching engine matchedone at the 98 price level. As the matching engine last matched aquantity of one at the 98 price level, the LTQ column 106 displays a “1”at the 98 price level. Thus, the LTQ value is a partial fill quantityinstead of a total fill quantity, which would be displayed only if thebuy 22 @ 98 order fully matched at a single price level.

While the market state depicted in FIG. 1B may occur due to a sweeporder, it may also occur due to other market events. Thus, thetransition from the market depicted in FIG. 1A to the market depicted inFIG. 1B may occur due to market changes other than a sweep order. Forexample, the traders having ask orders at the 96 and 97 prices levelsmay cancel their orders, and a single order may be matched at the 98price level. The LTQ column 106 would then reflect a single ordermatched at the 98 price level, and the ask quantities at the 96 and 97price levels would be removed to reflect the cancellations. Of course,other combinations of cancellations and orders may also cause the marketto transition from the state depicted in FIG. 1A to the state depictedin FIG. 1B.

In two typical methods for providing updates to the trading software, anexchange may provide a separate update for each market change, or anexchange may provide updates at periodic intervals that indicate marketchanges during the preceding time period. These methods may then affectthe display of the LTQ. For example, when an order sweeps the market,the trader would only see the LTQ value of the last match made by thematching engine. For an exchange the provides only periodic updates, thetrader may not be able to judge how many orders matched at other pricelevels, because the periodic update would include the LTQ value for thelast executed trade and not for all the preceding trades. Also, thetrader may not be able to determine whether orders were cancelled atother price levels, or whether a combination of matches andcancellations occurred. For an exchange that provides updates for eachmarket change, the trading software may display a series of LTQ valuesin quick succession. While the trading software may display each LTQvalue, the values may be displayed so rapidly that the trader may missviewing all of the matches, thereby causing the trader to misjudge themarket conditions.

In the following detailed description, a trading method and interfacefor displaying last traded quantity information are described. Thesetools provide advantages, as described below, to a trader in anelectronic trading environment.

BRIEF DESCRIPTION OF THE DRAWINGS

The presently preferred embodiments of the present invention aredescribed herein with reference to the drawings, in which:

FIG. 1A is a trading screen showing an example of a market for atradeable object;

FIG. 1B is a trading screen illustrating a conventional display of alast traded quantity;

FIG. 2 is a preferred embodiment of a trading screen for displaying alast traded quantity;

FIG. 3 is a preferred embodiment of the trading screen of FIG. 2 inwhich the last traded quantity represents a total sweep quantity value;

FIG. 4 is a preferred embodiment of the trading screen of FIG. 2 inwhich the last traded quantity includes a last traded quantity value forthe last traded price and a last traded quantity total sweep quantityvalue;

FIG. 5 is a preferred embodiment of the trading screen of FIG. 2 inwhich the last traded quantity includes a last traded quantity value forthe last traded price, a deleted quantity value, and a last tradedquantity total sweep quantity value;

FIG. 6 is a flowchart of a preferred process for determining anddisplaying last traded quantity total sweep quantity values;

FIG. 7 is a flowchart of a preferred process for determining a lasttraded quantity total sweep quantity;

FIG. 8 is a flowchart of a preferred process for determining anddisplaying last traded quantity total sweep quantity values;

FIG. 9 is a flowchart of a preferred process for computing a last tradedquantity total sweep quantity; and

FIG. 10 is a preferred embodiment of the trading screen of FIG. 2 inwhich multiple last traded quantities are displayed at multiple pricelevels with extended display times.

DETAILED DESCRIPTION

Many different exchanges support electronic trading. Electronic tradingallows a trader to interact with the exchanges from a remote ornon-remote location, such as by using a computer connected to theexchanges over one or more computer networks. Once connected to anexchange, the trader may receive market information about tradeableobjects that are traded on the exchange. The trader may additionallytrade the tradeable objects, such as by entering buy or sell orders.

A tradeable object can be any object, such as stocks, options, bonds,futures, currency, warrants, funds, or other financial objects. Otherobjects, for example, grains, energy and metals can also be traded. Ofcourse, these lists are not exhaustive, and any other object for whichthere exists a market can be traded. Tradeable objects can be “real,”such as products that are listed by an exchange for trading, or they canby “synthetic,” such as a combination of real products that is createdby a trader. Of course, a tradeable object could actually be acombination of other tradeable object, such as a class of tradeableobjects.

Exchanges that support electronic trading are generally based on one ormore hosts, one or more computer networks, and clients. In general, thehost includes one or more centralized computers to form the electronicheart. Its operations may include order matching, maintaining orderbooks and positions, price information, and managing and updating adatabase that records such information. The host may also be equippedwith an external interface that maintains uninterrupted contact to theclients and possibly other trading-related systems.

Market participants may link to the host through one or more networks. Anetwork is a group of two or more computers linked together. There aremany types of networks such as local area networks and wide areanetworks. Networks can also be characterized by topology, protocol, andarchitecture. However, any type of network configuration can be used inelectronic trading. For example, some market participants may link tothe host through a direct connection such as a T1 line, an IntegratedDigital Services Network (“ISDN”) connection, a digital subscriber line(“DSL”) connection, a cable connection, an analog phone line or anothertype of connection. When connecting through a direct connection, amarket participant may connect through one or more common networkcomponents such as high-speed servers, routers, and gateways, and so on.Of course, a market participant may also connect to the exchange throughthe Internet or another type of network.

A method, system and interface for electronic trading with an exchangeis described in U.S. Pat. No. 6,772,132, and is also described in U.S.Pat. No. 6,938,011. Both patents are commonly assigned to TradingTechnologies International, Inc., and the contents of both patents areincorporated herein by reference. Moreover, the trading application mayimplement tools for trading tradeable objects that are described in aU.S. Pat. No. 7,389,268 which is commonly assigned to TradingTechnologies international, Inc., and the contents of which areincorporated herein by reference. These applications describe networktopologies, interfaces and general trading functionality and techniquesthat may be used in implementing the preferred embodiments describedherein.

Trading screens may enable traders to enter and cancel orders, obtainmarket information, and monitor positions while implementing varioustrading strategies including those previously used on the floor of anexchange. For example, using the trading screen a trader may receiveinformation about tradeable objects traded on the exchange.Additionally, the trader may use the trading screen, for example, toplace buy and sell orders for the tradeable objects or to otherwisetrade the tradeable objects.

Once connected to the exchange, the trading software may receiveinformation from the exchange, which can in turn be displayed to thetrader. For example, the trading software may receive a list oftradeable objects traded on the exchange. Additionally, the tradingsoftware may receive market information for each tradeable object, suchas bid prices, bid quantities, ask prices, ask quantities, andadditionally, some exchanges provides prices and quantities for pastsales, and other market related information. The information maycontinuously or regularly provided to the trading software, which allowsthe trading software to update the trading screen with current marketinformation.

After the trading software receives this information from the exchange,the trading software may format and display the information. One pieceof information that is often displayed by trading software is the lasttraded quantity (“LTQ”). The LTQ generally refers to the quantity of thelast match performed by the exchange's matching engine. The LTQ may alsobe associated with a last traded price (“LTP”), which represents theprice level at which the LTQ was matched. When a trader places an order,the matching engine may fill the order by matching it against all orpart of one or more outstanding orders. For example, a buy order may bematched against one or more sell orders. Similarly, a sell order may bematched against one or more buy orders. For an order that is matchedagainst one other order, the LTQ generally indicates the total quantityof the order. When an order matches at more than one price level,however, the LTQ generally indicates only the quantity matched at thelast price level.

As previously described, this type of LTQ display can have severaldisadvantages. For example, the trader may be unable to differentiate anorder that filled at multiple price levels from an order than filled atone price level with order cancellations at the other price levels. Inanother example, the trader may be unable to adequately view LTQ valuesdisplayed in quick succession. When LTQ values are displayed in quicksuccession, all the LTQ values may be displayed but they may bedisplayed so quickly that the trader may be unable to discern all thedisplayed values. Thus, while the trader could then view the last LTQvalue, the trader may be unable to track the market's movement in thepreceding period due to the rapidly changing display of LTQ values.

Instead of simply displaying the LTQ value of the last match performedby the exchange's matching engine, the trading software in one preferredembodiment is modified to display an estimated LTQ total sweep quantity.Thus, while the preferred embodiments may describe an LTQ total sweepquantity displayed by the trading software, it should be understood thatthe LTQ total sweep quantity may be an estimated value. The LTQ totalsweep quantity, which may also sometimes be referred to as the lasttraded total sweep quantity, may represent a total number of objectsmatched at different price levels, such as the total number of objectstraded in a market sweep. By displaying the total sweep quantity, atrader can view the total number of objects that matched across thevarious price levels instead of just viewing the quantity that mostrecently matched at a single price level. Thus, the trader may moreeasily discern that a sweep did occur and may more easily discern themovement of the market, for example by distinguishing between ordersthat filled and orders that were cancelled.

FIG. 2 is a preferred embodiment of a trading screen, such as may beused to display an LTQ total sweep quantity. A trading screen used todisplay LTQ total sweep quantities, such as the trading screen in FIG.2, may generally include variety of different regions that may be usedto display other market information in addition to the LTQ total sweepquantity. As shown in FIG. 2, the trading screen includes four columns.The price column 100 displays various different price levels for atradeable object. The bid column 102 displays bid quantities at variousdifferent price levels. The ask column 104 displays ask quantities atvarious different price levels.

The LTQ column 106 may display a last traded quantity. Instead ofdisplaying only the last quantity matched at a particular price level bythe exchange's matching engine, the LTQ column 106, in one embodiment,displays the last traded quantity total sweep quantity. Thus, the LTQcolumn 106 can display a single LTQ total sweep quantity valuerepresenting multiple matches, such as for an order that fills atmultiple price levels or when multiple orders fill.

FIG. 2 depicts the trading screen in an example of a market for atradeable object. The bid column 102 displays the quantities bid atvarious different price levels, and the ask column 104 displaysquantities offered at various different price levels. Of course, theparticular values are one example of the market at a particular instantin time, and they may vary due to changing market conditions. It shouldalso be understood that the trading screen depicted in FIG. 2 is merelyan example and that the principles discussed herein for determining anddisplaying LTQ total sweep quantities can be used with any type oftrading display. For example, the columns may be displayed in differentorders. A greater or fewer number of columns can be displayed.

As a further alternative, the information may be presented in a rowformat rather that columns, or the grid may be eliminated entirely andthe information presented graphically. As one example of an alternative,the information may be presented in a row display. For example, the rowdisplay may be a static price display in which the row includes a price,a bid quantity, an ask quantity and an LTQ value, and the display mayinclude multiple rows corresponding to multiple price levels. Further,alternate embodiments may remove the price column 100 from the display,or they may remove or add other information. The preferred embodimentsare not limited to two-dimensional displays, but rather any number ofdimensions that illustrates the relationship between the LTQ and aparticular price level may be used. It should also be understood thatthe preferred embodiments are not limited to interfaces that displaymarket information in numerical form. Graphical representations mayalternatively be used. Various other modifications may also be made.

FIG. 3 is a preferred embodiment of the trading screen of FIG. 2 inwhich the last traded quantity represents a total sweep quantity value.FIG. 3 shows a new state of the trading screen after a sweep of themarket. Thus, the market state depicted in FIG. 2 transitions to themarket state depicted in FIG. 3 based on the execution of an order thatsweeps the market and is filled at multiple price levels.

For example, the exchange's matching engine can process a buy order for24 @ 99. In order to fill this order, the matching engine can match itagainst sell orders at multiple price levels. Starting with the marketstate depicted in FIG. 2, the matching engine begins matching the orderagainst the most favorable ask prices. Thus, the matching engine firstmatches a quantity of four at the 96 price level. This leaves aremaining quantity of twenty to be filled.

Since the matching engine exhausted the ask quantity at the 96 pricelevel, it next moves to the 97 price level. At the 97 price level, aquantity of seventeen is available, so the matching engine matches anadditional seventeen at this price level. A quantity of two is availableat the 98 price level, so the matching engine next matches two at thatprice level. This leaves one to be matched. The matching engine nextmatches one at the 99 price level in order to complete the order.

While the last quantity matched by the matching engine was one at the 99price level, the value displayed in the LTQ column 106 at the 99 pricelevel may reflect the LTQ total sweep quantity instead of the lasttraded quantity at that level provided by the exchange. Thus, instead ofdisplaying a “1,” as would be the case for a value that simply reflectedthe last traded quantity, a value of “24” is displayed. The LTQ totalsweep quantity value of 24 displayed in the LTQ column 106 at the 99price level allows the trader to see that in fact 24 objects matched.The trader can readily discern that the market moved due to filledorders instead of order cancellations. Many different modifications canbe made to the display in the LTQ column 106, for example, to providethe trader with additional information or to present the illustratedinformation in a different way.

FIG. 4 is a second preferred embodiment of the trading screen of FIG. 2in which the last traded quantity includes a last traded quantity valuefor the last traded price and a last traded quantity total sweepquantity value. While the display of FIG. 3 allows the trader to see theLTQ total sweep quantity, it does not indicate the last traded quantityat the last price level matched by the matching engine. Thus, using thedisplay of FIG. 3, the trader can tell that the last order matched atthe 99 price level, because that is the level where the LTQ total sweepquantity value is displayed, but the trader cannot tell the number ofobjects that matched at that level.

As shown in FIG. 4, the value displayed in the LTQ column 106 ismodified to reflect both a LTQ total sweep quantity and a last tradedquantity at that price level. The trading screen may illustrate thisinformation, for example, by displaying a “1/24” instead of simplydisplaying the “24” that was depicted in FIG. 3. The “1” indicates thelast traded quantity at the 99 price level, while the “24” representsthe LTQ total sweep quantity. Of course, the “1/24” format is merely anexample, and other numerical and/or graphical formats may alternativelybe used. For example, the order of the values may be switched, thedisplay format may be different, and/or additional information may bedisplayed.

FIG. 5 is another preferred embodiment of the trading screen of FIG. 2in which the last traded quantity includes a last traded quantity valuefor the last traded price, a deleted quantity value, and a last tradedquantity total sweep quantity value. In the example shown in FIG. 5, theLTQ column 106 displays “1/0/24” instead of just displaying “24,” whichwas illustrated in FIG. 3. As described for FIG. 4, the “1” indicatesthe last traded quantity at the 99 prices level, and the “24” indicatesthe total sweep quantity. In addition to these displays, FIG. 5 alsodisplays a “0.” The “0” indicates a deleted quantity value, which inthis case was zero because the resting orders below 99 were swept ratherthan being canceled or deleted. However, if some of the orders below 99were deleted, then a non-zero LTQ total sweep quantity and a non-zerodeleted order quantity may be generated. Of course, variousmodifications may be made to the display. For example, the order of thevalues may be changed, a different display format, such as a graphicalindication, may be used, and/or additional information may be displayed.

Exchanges generally provide market updates using a variety of differentmethods, and this may have an effect on calculating and displaying theLTQ total sweep quantity. In the one method, the exchange providesperiodic updates of market information to connected client devices.Thus, the exchange can provide updates to its client devices atpredetermined intervals, and each update can reflect the changes in themarket that occurred during the predetermined interval. Exchanges suchas Eurex provide updates using this method. In a second method, theexchange provides an update each time the market changes. Exchanges suchas the London International Financial Futures and Options Exchange(“LIFFE”), the Chicago Mercantile Exchange (“CME”) and Island ECNprovide updates using this method.

An exchange can provide updates, for example, by sending data structuresto its client devices. The data structures may be sent throughintermediate devices, such as gateways, and the intermediate devices mayreformat the data structures before ultimately providing them to theclient devices. Generally each client device receives a single datastructure that includes different market information, such as the lasttraded quantity, the total traded quantity (“TTQ”), the last tradedprice, the bid/ask amounts at each price level, the market depth andother information. Alternatively, this information can be provided to aclient device using more than one data structure. Each exchange may usea different type of data structure and may provide differentinformation. For an exchange that provides continual updates, a datastructure can be transmitted each time the market changes, such as whena trade is executed. For an exchange that provides updates atpredetermined intervals, the data structure can be provided to theclient devices at the predetermined intervals with no data structuressent that reflect intervening market changes.

While the predetermined intervals can be set and varied by the exchange,the exchange may provide the market updates, for example, every 1-2seconds. Of course, this interval is merely an example, and an exchangemay use a longer or shorter interval. By providing information atintervals, the exchange can reduce the bandwidth used to transmit thedata structures to its client devices. Thus, for a heavier market usage,the exchange may provide the market updates more infrequently in orderto conserve bandwidth. For fewer users or a lighter market volume, theexchange may decide to provide the market updates more frequently. Thesepredetermined intervals may vary based on the particular exchange, andthey may be dynamically altered by the exchange during a connection withthe exchange.

The trading screens depicted in FIGS. 3-5 may be used with an exchangethat provides periodic updates to its client devices or with an exchangethat provides updates each time the market changes. When connecting toan exchange that uses periodic updates, a client device can receiveperiodic updates and trading software on the client device can estimatethe LTQ total sweep quantity based on the periodic updates. Sinceexchanges generally only provide the LTQ of the last match, such as inthe data structure sent to the client device, the client device wouldordinarily not directly receive the LTQ total sweep quantity. Thetrading software may perform its own estimate of the LTQ total sweepquantity, for example, by comparing the TTQ in one update with the TTQquantity in the previous update. The difference in the TTQ values (i.e.,the current TTQ value minus the previous TTQ value) may be used as theestimate of the LTQ total sweep quantity, which would then be displayedin the LTQ column 106.

FIG. 6 is a flowchart of a preferred process for determining anddisplaying last traded quantity total sweep quantity values, such as maybe used when connecting to an exchange that provides periodic updates.The process can be used, for example, to compute and display last tradedquantity total sweep quantity values in the displays described in FIGS.3-5. At Step 150, the trading software receives an update from anexchange. At Step 152, the trading software determines a last tradedquantity total sweep quantity. Then, at Step 154, the trading softwaredisplays the last traded quantity total sweep quantity.

FIG. 7 is a flowchart of a preferred process for determining an LTQtotal sweep quantity, such as may be used when connecting to an exchangethat provides periodic updates. It may also be used, however, whenconnecting to an exchange that provides updates for each market change.The process can be used, for example, as Step 152 of FIG. 6. Withreference to FIG. 7, at Step 200, the trading software receives a firstupdate that includes a first total traded quantity. At Step 202, thetrading software receives a second update that includes a second totaltraded quantity. Then, the trading software computes a last tradedquantity total sweep quantity by computing a difference between thesecond total traded quantity and the first total traded quantity, asshown at Step 204.

Of course, the trading software may determine that a sweep has occurredin a variety of different ways. For example, the trading software maydetermine that a sweep has occurred when the inside market moves one ormore price levels away from the inside market level indicated by theprevious update. In another example, the trading software may track themovement of the inside market over multiple updates, thereby allowing asweep to occur over multiple updates. However, where the inside marketremains at the same price level as one or more previous updates, thenthe trading software may determine that a sweep has not occurred and maynot display an LTQ total sweep quantity. In one alternate embodiment, ifthe trading software determines that a sweep has not occurred, thetrading software may still display the change in total traded quantitythereby allowing a trader to view the number of orders that executedbetween updates.

FIG. 8 is a flowchart of a preferred process for determining anddisplaying last traded quantity total sweep quantity values, such as maybe used when connecting to an exchange that provides updates for eachmarket change. At Step 250, the trading software receives a plurality ofupdates from an exchange. Each update may reflect a change in themarket, such as a trade, an order cancellation or some other change. AtStep 252, the trading software determines a last traded quantity totalsweep quantity using the plurality of updates. Then, at Step 254, thetrading software displays the last traded quantity total sweep quantity.

FIG. 9 is a flowchart of a preferred process for computing a last tradedquantity total sweep quantity, such as may be used when connecting to anexchange that provides updates for each market change. The process canbe used, for example, as Step 252 of FIG. 8. With reference to FIG. 9,at Step 300, the trading software receives a plurality of updates thateach includes a last traded quantity. Then, the trading softwarecomputes a sum of the last traded quantities of the updates, as shown atStep 302. The sum may then represent the last traded quantity totalsweep quantity.

For an exchange that provides updates each time the market changes, thetrading software would receive an update for each market change. Thus,for each match, it would receive an update that includes an LTQ valuefor that match. The LTQ total sweep quantity may then be computed bysumming the LTQ values. Of course, as part of estimating the LTQ totalsweep quantity, the trading software may first determine when a sweephas occurred and therefore which LTQ values to sum. In one preferredembodiment, the trading software could sum LTQ values when it detectsthe inside market moving past one or more price levels in apredetermined period of time. Thus, the trading software may buffer theLTQ values, and after detecting a sweep, may then sum the values inorder to estimate the LTQ total sweep quantity. If the inside marketremained at the same level over a predetermined period of time, forexample, then the trading software may determine that a sweep had notoccurred and thus would not continually sum the LTQ values in order toestimate and LTQ sweep quantity. Of course, may other modifications maybe made to determine when a sweep occurs, and these may also be used.

For an exchange that provides periodic updates, one periodic update mayinclude updated market information as a result of several differentmarket events, but it would only include one LTQ for the most recentmatch performed by the exchange's matching engine. Thus, the tradingsoftware would not receive an LTQ for each match and would not then beable to compute the LTQ total sweep quantity by simply summing thereceived LTQ values.

Similarly, there may be differences in computing deleted orderquantities depending on how the exchange provides updates. For anexchange that provide updates each time the market changes, the tradingsoftware may receive an update for each deleted order. While theexchange may explicitly provide a deleted order quantity, the tradingsoftware may alternatively estimate a deleted order quantity byreceiving an update that includes a decreased outstanding order quantityat a price level without a corresponding increase in the total tradedquantity. The trading software may then compute track the total deletedorder quantities simply by using the deleted order quantity informationin the updates. This can be done, for example, by summing the individualdeleted order updates.

For an exchange that receives periodic updates, the trading software maycompute the deleted order quantity differently. For example, the tradingsoftware may store a first state of the market, such as can be indicatedby a first update. The trading software may then receive a secondupdate, which may indicate a second state of the market. As previouslydescribed, the trading software may determine the number of ordersmatched by finding the difference between the TTQ value of the secondmarket state and the TTQ value of the first market state. The tradingsoftware can then estimate the number of deleted orders by determining adifference between the number of outstanding orders in the second marketstate and the number of outstanding orders in the first market state.This difference, adjusted for the number of orders matched by theexchange, can provide an estimate of the number of deleted orders. Ofcourse, other factors, such as deleted orders coupled with added orders,may cause inaccuracies in the estimation of the deleted order quantity.

When connecting to an exchange that provides market updates atpredetermined intervals, the LTQ value displayed in the LTQ column 106would generally also be updated at the predetermined interval. For alarge enough interval, such as on the order of a few tenths of a second,the trader would ordinarily be able to see the LTQ value updates anddiscern the movement of the market. However, when the exchange providesupdates each time the market changes, the trading software may updatethe LTQ values before the trader has an opportunity to view and visuallyprocess the information. Thus, the trader may entirely miss viewing LTQvalue updates, or the trader may view the LTQ values updates so rapidlythat the trader is unable discern the market movement from the updates.

In order to aid the trader when connecting to a market that providesupdates for each market change, the trading software may displaymultiple LTQ updates, or it can alter the length for which an LTQ updateis displayed. FIG. 10 is another preferred embodiment of the tradingscreen of FIG. 2 in which multiple last traded quantities are displayedat multiple price levels with extended display times. This tradingscreen can be used, for example, when connecting to an exchange thatprovides updates each time the market changes. Of course, it may also beused when connecting to an exchange that provides periodic updates.

As shown in FIG. 10, the LTQ column 106 displays multiple LTQ values.These values can correspond to multiple LTQ matches, thus indicating anLTQ total sweep quantity instead of just the last match performed by theexchange's matching engine. As the matching engine attempts to fill anorder for 24 @ 98, which was previously described with reference to FIG.3, the matching engine first fills 4 at the 96 price level. In response,the exchange would generate an update to send to the client devices. Thetrading software running on a client device would receive the update andthen extract the LTQ quantity of 4. Next, the trading software displaysthe LTQ quantity of 4 at the 96 price level, which is depicted in FIG.10 as Block 350.

Next, the matching engine would match 17 @ 97. An update would be sentto the trading software, which would extract the LTQ quantity of 17.Instead of removing the 4 at the 96 price level and displaying 17 at the97 price level, as would occur in a conventional system, the tradingsoftware in this embodiment displays the 17 LTQ quantity at the 97 pricelevel in addition to the 4 LTQ quantity displayed at the 96 price level.In FIG. 10, the 17 LTQ quantity is displayed at Block 352. Similarly,the 2 LTQ quantity would displayed at the 98 price level and the 1 LTQquantity would be displayed at the 99 price levels. These would bedisplayed at Blocks 354 and 356 respectively. The LTQ quantities at the98 and 99 price levels may be displayed in addition to the LTQquantities at the 96 and 97 price levels. Displaying the LTQ values inthis manner can advantageously allow the trader to see the four matchesfor this order instead of simply seeing a partial fill quantity of 1 atthe 99 price level. The trader would be able to tell that orders filledat all four price levels instead of having cancellations at theselevels.

In order to prevent the LTQ column 106 from becoming cluttered withnumerous LTQ values, each LTQ value may be displayed for a predeterminedperiod of time. The trading software can specify the predeterminedperiod of time, such as by setting a default value. The trader may thenalter the value, such as by changing the default value specified by thetrading software. Of course, it is also possible that the tradingsoftware specifies the predetermined amount of time and that the amountof time cannot be altered by the trader, or the time period may be setinitially by the trader.

In a preferred operation, the first LTQ update value would be displayedin Box 350. Once the LTQ update value is display in Box 350, the tradingsoftware would continue to display the LTQ update value for thepredetermined period of time. A subsequent update, such as the one nextdisplayed in Box 352, would also be displayed for the predeterminedperiod of time. Similarly, the displays in Boxes 354 and 356 would alsobe displayed for the predetermined period of time. Thus, subsequentupdates would not replace previous updates, and the trader would be ableto view each LTQ update for the predetermined period of time regardlessof whether the trading software received subsequent LTQ updates.

As the predetermined periods of time expire, the LTQ update values wouldbe removed from the trading screen. As Box 350 was the first update, itwould be removed first as its predetermined amount of time expired.Next, after its predetermined amount of time expired, the LTQ updatevalue in Box 352 would be removed. Similarly, the LTQ update value inBox 354 would be removed after its predetermined amount of time expired,and then the update in Box 356 would be removed after its predeterminedamount of time expired.

In a preferred embodiment, the LTQ update values displayed in the LTQcolumn 106 fade-out over the predetermined amount of time. For example,the display intensity of an LTQ update value may be greatest when it isinitially displayed. As the predetermined period of time progresses theintensity of the display can decrease, thereby causing the LTQ updatevalue to fade-out. Fading-out the LTQ update values may allow the traderto more easily distinguish more recent LTQ update values from older LTQupdate values. Of course, it is also possible that the LTQ update valuesdo not fade-out but are simply removed after the predetermined amount oftime. As an alternative, color shading of the LTQ column 106 boxes maybe used to indicate aging. For example, the color of the displayed LTQvalues may change over time to represent aging.

In another preferred embodiment for displaying LTQ total sweep quantityvalues, the trading software can receive multiple updates from anexchange. However, instead of updating the trading screen for eachupdate received from the exchange, the trading software may update thetrading screen more infrequently. For example, the trading software mayuse two or more updates to perform a single update of the tradingscreen. This technique can be advantageously used when connecting toexchanges that provide an update for each market change, thereby slowingdown the rate at which the trading screen is updated and allowing atrader to more easily see changes in the market. Of course, thistechnique may also be used with exchanges that provide periodic updates.

It should be understood that the programs, processes, methods andapparatus described herein are not related or limited to any particulartype of computer or network apparatus (hardware or software), unlessindicated otherwise. Various types of general purpose or specializedcomputer apparatus may be used with or perform operations in accordancewith the teachings described herein. While various elements of thepreferred embodiments have been described as being implemented insoftware, in other embodiments hardware or firmware implementations mayalternatively be used, and vice-versa.

In view of the wide variety of embodiments to which the principles ofthe present invention can be applied, it should be understood that theillustrated embodiments are exemplary only, and should not be taken aslimiting the scope of the present invention. For example, the steps ofthe flow diagrams may be taken in sequences other than those described,and more, fewer or other elements may be used in the block diagrams.

The claims should not be read as limited to the described order orelements unless stated to that effect. In addition, use of the term“means” in any claim is intended to invoke 35 U.S.C. §112, paragraph 6,and any claim without the word “means” is not so intended. Therefore,all embodiments that come within the scope and spirit of the followingclaims and equivalents thereto are claimed as the invention.

1. A trading device for arranging information related to a tradeableobject traded in an electronic trading environment, comprising: anoutput device configured to display information related to a tradeableobject; and a processor communicatively coupled with the output deviceand configured to cause the output device to display at least: a priceaxis region having a plurality of price levels for the tradeable objectderived from market information received from an electronic exchange atwhich the tradeable object is traded, and a quantity indicator regionfor a last traded sweep quantity relative to at least one price level ofthe price axis region, the last traded total sweep quantity being basedon a number of trades executed in a market sweep over at least a subsetof the plurality of price levels.
 2. The trading device of claim 1 wherethe processor is further configured to cause the output device todisplay an order region for bids and asks for the tradeable objectrelative to the plurality of price levels of the price axis region. 3.The trading device of claim 2 where the bid and asks are displayed asindicators relative to the price axis region.
 4. The trading device ofclaim 3 where each indicator represents a quantity of the tradeableobject available at an associated price level of the price axis region.5. The trading device of claim 4 where a position for each indicatorrelative to price axis region is changeable in response to changes inmarket information for the tradeable object.
 6. The trading device ofclaim 2 where the order region comprises an ask display region and a biddisplay region, and where indicators associated with asks are displayedin the ask display region and indicators associated with bids aredisplayed in displayed in the bid display region.
 7. The trading deviceof claim 6 where the ask display region and bid display region comprisea plurality of locations each corresponding to a price level.
 8. Atrading device for arranging and displaying market information for atradeable object, comprising: a market data receiver configured toreceive financial market data identifying pending orders for a tradeableobject; a processor communicatively coupled to the market data receiverand configured to derive a last traded total sweep quantity value fromthe financial market data, the last traded total sweep quantitycorresponding to a number of trades executed over a set of the pricelevels for the tradeable object; and an output device communicativelycoupled to the processor and configured to display the last traded totalsweep quantity value on a screen.
 9. The trading device of claim 8 wherethe output device is further configured to display the last traded totalsweep quantity value as an indicator in a location relative to a priceaxis.
 10. The trading device of claim 9 where the price axis comprises aplurality of price levels derived from the financial market dataidentifying pending orders for a tradeable object.
 11. The tradingdevice of claim 10 where the output device is further configured todisplay an order region having a plurality of open bids and open asksfor the tradeable object, each of the plurality of open bids and openasks being displayed relative to an associated at least one of theplurality of price levels of the price axis.
 12. The trading device ofclaim 11 where each of the open bids and open asks being displayedrelative to the associated at least one of the plurality of price levelsidentifies an available quantity of the tradeable object at theassociated price level.
 13. A method for arranging information relatedto a tradeable object traded in an electronic trading environment,comprising: displaying information for a tradeable object derived frommarket information received from an electronic exchange at which thetradeable object is traded via an output device associated with atrading device, the information being displayed along a price axisregion having a plurality of price levels for the tradeable object, anddetermining a last traded total sweep quantity based on a number oftrades executed in a market sweep over at least a subset of theplurality of price levels via the trading device; and displaying aquantity indicator region for a last traded sweep quantity relative toat least one price level of the plurality of price levels via the outputdevice.
 14. The method of claim 13 further comprising displaying anorder region for bids and asks for the tradeable object relative to theplurality of price levels of the price axis region via the outputdevice.
 15. The method of claim 14 where the bid and asks are displayedas indicators relative to the price axis region.
 16. The method of claim15 where each indicator represents a quantity of the tradeable objectavailable at an associated price level of the price axis region.
 17. Themethod of claim 16 where a position for each indicator relative to priceaxis region is changeable in response to changes in market informationfor the tradeable object.
 18. The method of claim 14 where the orderregion comprises an ask display region and a bid display region, themethod further comprising: displaying indicators associated with asks inthe ask display region; and displaying indicators associated with bidsin displayed in the bid display region.
 19. The method of claim 18 wherethe ask display region and bid display region comprise a plurality oflocations each corresponding to a price level.